Bivariate Tail Dependence and the Generation of Multivariate Extreme Value Distributions

Helena Ferreira

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 24, 5318-5325

Abstract: We define, in a probabilistic way, a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and total independent copulas, and the bivariate tail dependence and extremal coefficients. Based on the obtained results for these coefficients, we propose a method to build multivariate extreme value distributions with prescribed tail/extremal coefficients. We illustrate the results with examples.

Date: 2014
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DOI: 10.1080/03610926.2012.744052

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